Prisma portfolio-based margining
02 Apr 2025
Indicative Prisma margins for single Eurex-cleared swaps
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02 Apr 2025
Prisma Margin Requirements for selected products (single position portfolios)
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Liquidation Groups
The Excel "PrismaEligibleProducts.xls" shows which products belong to the
- Listed Equity (Index) Derivatives Liquidation Group (PEQ01)
- Listed Fixed Income Liquidation Group (PFI01)
- Asian cooperation KOSPI Liquidation Group (PAC01)
- Asian cooperation KRW FX Derivatives Liquidation Group (PAF01)
- Commodity (Index) Derivatives Liquidation Group (PCM01)
- Precious Metal Derivatives Liquidation Group (PPM01)
- FX Derivatives Liquidation Group (PFX01)
- FX NDF Liquidation Group (PNF01)
- Derivatives on Fixed Income ETFs Liquidation Group (PEF01)
- Collateral Index Liquidation Group (PEQCO)
- Crypto Derivatives Liquidation Group (PCY01)
PFI01 further contains all OTC Interest Rate Derivatives (IRS) transactions (according to the Clearing Conditions Chapter VIII) in products as described on the EurexOTC Clear IRS webpage.
For Default Management purposes (auctions and default fund segmentation) the additional Bond Liquidation Group PBN01 is defined. PBN01 contains all Special Repo transactions and all GC Pooling transactions excluding the GC Pooling Equity Basket. This is a legal liquidation group and has no impact on margining.
Risk-based margining
02 Apr 2025
Margin Parameters CCP Instruments (excl. Bonds)
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02 Apr 2025
Margin Parameters for Bonds and Repos
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General Parameters
02 Apr 2025
Collateral Acceptance and Haircuts
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03 Apr 2025
ESG Admissible Securities Assessment
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03 Apr 2025
Admissible securities
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03 Apr 2025
Global Admissible Securities
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